Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0223
Annualized Std Dev 0.2377
Annualized Sharpe (Rf=0%) 0.0936

Row

Daily Return Statistics

Close
Observations 3325.0000
NAs 1.0000
Minimum -0.1242
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.1139
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0150
Skewness -0.4790
Kurtosis 9.8482

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0104
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.6109
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0375
Modified VaR (95%) -0.0234
Modified ES (95%) -0.0465
From Trough To Depth Length To Trough Recovery
2008-05-20 2009-03-09 2014-01-10 -0.6109 1419 202 1217
2020-02-13 2020-03-23 2020-08-12 -0.3657 126 27 99
2018-01-29 2018-12-24 2020-01-17 -0.2545 497 229 268
2014-03-07 2016-02-11 2017-11-21 -0.2489 937 488 449
2008-01-02 2008-01-17 2008-05-08 -0.1507 89 12 77

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 0.5 0.5
2008 3.5 -1.7 1 0.6 0.6 -1.7 -2 0.1 0.8 1.6 -4.5 1.3 -0.6
2009 0.1 0.1 1.4 2.1 1.3 1.6 1 -2.9 -3.8 -3.3 3 -0.3 0
2010 2.1 1.9 1.8 -2.1 -2.3 0 0.3 3.9 1.3 0.2 3.7 0.7 11.7
2011 2.9 -0.8 1.2 0.4 -1.8 1 -0.5 -0.9 -4.2 -2.8 -0.7 0.5 -6
2012 1.3 0.4 1.2 0.8 -3.5 3.9 -0.1 1.2 0.8 1 0.3 1.9 9.5
2013 1.8 0.1 -0.8 -0.6 -2.2 1.2 1.1 -0.4 1.2 -0.2 0.4 0.8 2.4
2014 -1.4 0.9 1.3 0.5 0.4 1.1 -0.4 -0.2 -1.3 1.1 -0.1 -0.9 0.9
2015 -1.2 0.1 0.1 0.6 -0.2 0.4 1.2 -2.6 0.6 -0.1 0.9 -1.4 -1.5
2016 0.8 2.3 -0.4 0.2 0.1 0.7 -0.8 0.9 1 -0.4 -0.3 0.2 4.2
2017 0 1.1 0 0.7 0.7 0.7 0.4 0.3 0.7 -0.1 -0.2 -0.2 4.1
2018 0.1 -1.6 1.3 0 0.5 1.1 -0.5 -0.9 0.2 1.3 -1 0.5 1.1
2019 0 0.9 0.7 -0.9 -0.2 0.4 0.5 0.8 -0.7 0.9 -0.1 -0.2 2
2020 -1.6 -1.5 -3.7 -2.1 1.2 0.6 -1.8 0 1.7 -0.8 1.4 -0.7 -7.3
2021 1.9 2.1 0.4 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart